First of all, make sure that you're only using 1 software firewall (remember that Win XP has it's own firewall) & that it's set up properly. Go to the link below for some good instructions for common firewalls
Firewall setup

Go to this site with your browser & see if it says "your test worked".
http://www3.limewire.com:6346

Post your details here,

OS(Win XP etc)
LW & Java version (in LW go to help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW